Stochastic increase in CDS and CDO portfolio premiums (Q5076160)
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scientific article; zbMATH DE number 7527426
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| default for all languages | No label defined |
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| English | Stochastic increase in CDS and CDO portfolio premiums |
scientific article; zbMATH DE number 7527426 |
Statements
STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS (English)
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16 May 2022
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Archimedean copulas
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nested Archimedean copulas
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portfolio risk
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CDO pricing
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expected premiums
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CDS portfolio
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default premiums
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0.769864022731781
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0.7614668607711792
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0.7542105913162231
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0.7509655952453613
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